Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0457 |
| Annualized Std Dev | 0.2826 |
| Annualized Sharpe (Rf=0%) | -0.1616 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4274.0000 |
| NAs | 1.0000 |
| Minimum | -0.1977 |
| Quartile 1 | -0.0061 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0073 |
| Maximum | 0.2967 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0003 |
| Stdev | 0.0178 |
| Skewness | -0.3200 |
| Kurtosis | 37.9805 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0133 |
| Gain Deviation | 0.0131 |
| Loss Deviation | 0.0161 |
| Downside Deviation (MAR=210%) | 0.0174 |
| Downside Deviation (Rf=0%) | 0.0133 |
| Downside Deviation (0%) | 0.0133 |
| Maximum Drawdown | 0.8247 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0443 |
| Modified VaR (95%) | -0.0172 |
| Modified ES (95%) | -0.0172 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-21 | 2020-03-23 | NA | -0.8247 | 3484 | 3233 | NA |
| 2004-04-06 | 2004-05-10 | 2004-11-30 | -0.1658 | 165 | 24 | 141 |
| 2005-09-21 | 2006-06-26 | 2006-10-09 | -0.1522 | 265 | 192 | 73 |
| 2005-02-08 | 2005-03-29 | 2005-08-15 | -0.1228 | 131 | 34 | 97 |
| 2006-11-17 | 2006-11-21 | 2006-12-12 | -0.0833 | 17 | 3 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | 0.4 | 0 | 0 | 0.3 | -0.3 | 0.2 | 2 | 0.8 | -0.7 | 4.4 | 7.1 |
| 2005 | 2.2 | -0.5 | 3.6 | -0.2 | 0.9 | 2.6 | 0.7 | 0.3 | 1 | 1.2 | -0.9 | 0 | 11.2 |
| 2006 | 1 | 0.3 | 0.9 | 0.1 | 0.3 | 0.8 | -0.1 | 1 | 1 | 0.2 | -0.6 | -0.2 | 4.9 |
| 2007 | 0.4 | -0.5 | 1.3 | -0.3 | 0.1 | 1.6 | -6.4 | 2.6 | 1.6 | -1.1 | -2.5 | -0.2 | -3.7 |
| 2008 | -10.3 | 0.9 | 1.9 | 1.9 | -0.1 | -0.7 | 0.2 | -1.9 | 0.2 | 4.2 | -9.2 | 1.4 | -11.9 |
| 2009 | -1.9 | -2.7 | 0.9 | 2.7 | 1.6 | 1.4 | 1.3 | -1.7 | -1.6 | -2.7 | 1.2 | 0 | -1.7 |
| 2010 | 1.8 | 1.2 | 0.8 | -1 | -1.8 | 0.2 | 0.5 | 2.2 | 0.8 | 0.3 | 1.2 | 0 | 6.4 |
| 2011 | 1.9 | -0.1 | 0.4 | -0.2 | -1.7 | 0.9 | 0.7 | 0.4 | -0.8 | -2 | 0.7 | -0.2 | -0.1 |
| 2012 | 1.2 | 2.4 | -0.9 | -0.5 | -1.4 | 2.6 | 1 | 0.7 | -0.3 | 1 | 1.2 | 1.6 | 9 |
| 2013 | -0.6 | 1.3 | -0.2 | 2.5 | -3 | 2.6 | 1.1 | -0.2 | 0.5 | -0.4 | 1.5 | 1.3 | 6.4 |
| 2014 | 0.1 | 0.8 | 0.1 | 0.2 | 0.6 | 0.3 | 0.3 | -0.2 | 0.2 | -0.2 | -2.2 | -1.3 | -1.2 |
| 2015 | 0 | -0.8 | 2 | 0 | -0.7 | -1.9 | 0.4 | -1.4 | -0.6 | 0.3 | 1.1 | -1.2 | -2.8 |
| 2016 | 0.9 | 2 | -0.7 | -0.9 | 0.7 | 0.4 | -0.9 | 0.4 | 0.4 | -0.8 | -0.5 | -0.1 | 0.9 |
| 2017 | -0.6 | 0.3 | -0.8 | -0.2 | 0.5 | -0.2 | 0.2 | 1.3 | 0.9 | -0.6 | 1.3 | -0.5 | 1.7 |
| 2018 | -0.2 | -0.1 | 1 | -0.5 | -0.3 | 0.9 | -0.2 | 0 | 1 | 1.1 | -0.1 | -0.2 | 2.4 |
| 2019 | 0.7 | 1 | -0.5 | -0.5 | 0.1 | -0.6 | -0.9 | 0 | -0.1 | 0.4 | -0.5 | 0.8 | 0 |
| 2020 | -0.3 | -3.5 | -5.2 | -2.7 | 1.3 | 0.4 | -0.4 | 0 | -0.7 | -0.9 | 1.1 | -0.8 | -11.4 |
| 2021 | 0.8 | 3.2 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
